Click on the header of your choice.
It should open it up on another page. Then save it (right click and click "Save Picture As..." into a location where it can be easily found).
Go onto your blog and on the top right you'll see the word "Customized" it'll only show up if you are signed in.
Then in that large grey box you'll see lots of smaller boxes, the top smaller box should have the name of your blog with "(header)" next to it. On the bottom right of that box is the word "Edit".
Click on it. A small screen should pop up.
Before uploading the picture from your computer, click "Shrink to fit" and "Behind title and description". Then upload and click the "Save" button on the bottom right on the screen.